Matrix representations of Wiener-Hopf factorisations for Lévy processes (Q6879232)
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scientific article; zbMATH DE number 8140858
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| English | Matrix representations of Wiener-Hopf factorisations for Lévy processes |
scientific article; zbMATH DE number 8140858 |
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Matrix representations of Wiener-Hopf factorisations for Lévy processes (English)
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2 January 2026
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Lévy processes
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Wiener-Hopf factorisations
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phase-type distribution
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matrix-exponential distribution
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rational Laplace transform
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iterative scheme
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Padé approximation
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barrier options
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Poisson sampling
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